商业银行流动性风险影响因素实证研究

发布时间：2018-02-25 00:08

本文关键词： 商业银行流动性风险影响因素面板数据模型最小二乘回归　出处：《吉林大学》2015年硕士论文　论文类型：学位论文

【摘要】：商业银行的流动性水平反映了其经营风险，由于银行的主要业务是对资产负债进行管理，当银行的资产负债结构出现问题时就会出现流动性风险。在我国，商业银行的流动性过剩问题在一段时间里是研究的重点，而到2013年我国商业银行也出现了短暂的流动性危机。从流动性过剩到出现流动性风险，这更值得我们去思考是什么因素影响商业银行流动性水平的变动。商业银行作为一个金融中介，连接着整个经济社会，这也使得银行的经营管理更容易受到来自各方面因素的影响。在对以前的研究成果总结和分析之后，我们认为流动性风险主要有三个层面的影响因素，一是商业银行自身的经营管理策略，二是银行业市场结构的变动，最后是宏观经济环境的变动。本文的第1章为绪论。说明了文章的选题背景以及研究意义，对文章的整体内容和框架进行了简述，介绍了文章的研究思路和主要方法，并且阐述了文章的创新点。第2章是总结了涉及的理论基础，回顾和分析了国内外文献。首先具体说明了商业银行的流动性和流动性风险的概念，然后从商业银行自身的脆弱性、信息不对称、银行间市场风险传染三个方面分析了流动性风险产生的根源。对国内外的相关文献进行了回顾和总结，学者们关于流动性风险的研究主要从两个层面，一个是从银行整体流动性的角度，一个是从商业银行的角度。第3章首先根据具体数据对银行的流动性现状进行了研究，然后从理论上阐述了流动性的影响因素。就“钱荒”问题及其形成原因进行了分析，通过GARCH、TARCH模型研究了上海同业拆借利率的波动性。通过流动性比例、存贷比和超额准备金率三个指标对商业银行整体的流动性现状进行了统计性描述。从内部和外部两方面探究了商业银行流动性风险的影响因素。第4章是通过实际数据对流动性风险的影响因素进行了实证研究。考虑到商业银行流动性的内部影响因素和外部影响因素的不同衡量口径会产生不同的影响效果，从银行整体的角度和16家上市商业银行的角度分别建立两个模型做了实证研究。从商业银行整体的分析则更加注重整个经济的运行状况和银行业整体的变化，通过经济增长、广义货币增长和同业拆借利率反映整个经济状况，银行业整体则主要涉及了市场集中度和总资产增长率两个指标。从上市商业银行角度的分析更加注重银行的差异性，主要考虑了监管指标和财务指标对银行流动性水平的影响。通过最小二乘回归，，发现广义货币增长率、银行业市场集中度和同业拆借利率与流动性比例存在显著的负相关关系，而银行总资产增长率与流动性比例存在显著的正相关关系，但是弹性系数都比较小。通过面板数据模型回归，在上市银行总体模型中，资本充足率、平均总资产收益率和净资产增长率与流动性比例存在显著的正相关性。在大型上市商业银行模型中，净资产增长率与流动性比例存在显著的负相关关系。而在中小型上市商业银行中，平均总资产收益率和净资产增长率与流动性比例存在显著的正相关关系。第5章得出结论。基于商业银行整体流动性的模型回归，我们发现稳定的广义货币增长率能够提高银行的流动性水平；在现阶段，放宽银行业准入、降低集中度能降低流动性风险；央行可以通过对银行间拆借市场利率的管理来达到对商业银行流动性的有效管理。基于上市商业银行的面板数据模型的回归，我们发现对资本充足率的监管可以降低流动性风险；在我们研究的时间区间，银行的盈利能力越强流动性水平越高；银行的成长能力与流动性水平存在正相关关系，这与基于整体的研究是一致的，但是在大型上市银行模型中得出相反的结论，这与大型银行的规模相关。进一步对流动性现状进行分析，也得出相关结论。
[Abstract]:The liquidity level of commercial banks reflects its operational risk . As the main business of the bank is the management of assets and liabilities , liquidity risk arises when the assets and liabilities structure of the bank is in question . In our country , the liquidity surplus problem of commercial banks is the focus of the research for some time . In China , the liquidity crisis has also appeared in China ' s commercial banks in 2013 . From the excess liquidity to liquidity risk , it is more worthwhile to think about the factors that affect the fluctuation of the liquidity level of commercial banks . As a financial intermediary , commercial banks are connected with the whole economy and society , which also makes the management of banks more vulnerable to various factors . After summing up and analyzing the previous research results , we think that liquidity risk is mainly influenced by three levels , one is the management strategy of the commercial banks themselves , the second is the change of the banking market structure , and finally the changes of the macro - economic environment . The first chapter of this paper is introduction . The background of the article ' s selection and the significance of research are described . The whole contents and framework of the article are briefly described . The research ideas and main methods of the article are introduced , and the innovation points of the article are expounded . Chapter 2 summarizes the theoretical foundation , reviews and analyses the literatures at home and abroad . Firstly , the concept of liquidity and liquidity risk of commercial banks is analyzed , and then the root causes of liquidity risk are analyzed from three aspects of their vulnerability , information asymmetry and inter - bank market risk infection . The research on liquidity risk is mainly from two levels , one from the perspective of the overall liquidity of the bank , and one from the angle of commercial banks . Chapter 3 firstly studies the liquidity situation of the bank according to the specific data , then expounds the influence factors of liquidity in theory . Through the analysis of the problem of " money shortage " and the reasons for its formation , this paper studies the volatility of the loan interest rate of the commercial banks through the three indexes of liquidity ratio , deposit ratio and excess reserve ratio . Chapter 4 is an empirical study on the influencing factors of liquidity risk through real data . In view of the internal influence factors of the liquidity of commercial banks and the different measures of external influence factors , two models have been established . Through the least square regression , it is found that the growth rate of the broad money , the concentration of the banking market and the ratio of the interbank borrowing rate and the liquidity ratio have significant negative correlation , while the growth rate of the total assets of the bank is positively correlated with the liquidity ratio , but the elastic coefficient is relatively small . Through the panel data model regression , there is a positive correlation between the capital adequacy ratio , the average total asset yield and the net asset growth rate and the liquidity ratio in the overall model of the listed banks . In the model of the large - scale listed commercial banks , there is a significant negative correlation between the net asset growth rate and the liquidity ratio . In the small and medium - sized listed commercial banks , the average total asset yield and the net asset growth rate have a significant positive correlation with the liquidity ratio . Chapter 5 draws a conclusion . Based on the model regression of the overall liquidity of commercial banks , we find that stable generalized monetary growth rate can improve the liquidity level of the banks . At the present stage , we can reduce the liquidity risk by relaxing the market access and reducing the concentration . In the time interval of our study , the higher the profitability of the bank , the higher the liquidity level .

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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